Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH
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KeywordsVolatility; Levy Process; GARCH; EGARCH; TGARCH; COGARCH;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
- NEP-ECM-2013-01-07 (Econometrics)
- NEP-ETS-2013-01-07 (Econometric Time Series)
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